matlab code snippet #3

%%% bloomberg: intraday tick


VALUE_TRADE=1;
VALUE_BESTBID=31;
VALUE_BESTASK=32;


c=bloomberg;
% value_type,timestamp,price,size
raw=fetch(c,'NIX1 Index', 'TIMESERIES','11/15/2011');
I = (raw(:,1) == VALUE_TRADE | raw(:,1) == VALUE_BESTBID | raw(:,1) == VALUE_BESTASK);
raw(~I,:) = [];
raw(isnan(raw(:,3)),:)=[];
close(c);


x = dftool('ticktypes')
returns the list of tick types that can be converted to numeric tick type values with, for example,
find(strcmp('Trade',x))
Trade == 1, Bid Best == 31 and Ask Best == 32. 




%%% bloomberg: daily data
fmdt=datenum(2000,1,1);
todt=datenum(2011,1,1);
c=bloomberg;
d1=fetch(c, '1 HK Eq